Subtitle embedding help

Hey, I am completely retard-newb and have no idea how to even add the subs into the movie. I have VobSub 2.23 and WMP 11. I think I got the right subtitle dl file, which was srt. After that I am lost at sea, and have no idea how to meld the video and sub file. Help please with dis shitz! Do I need another program that from DivX or something

Ok, so I took all the measures necessary to use subs that were on the guides page, but there is a difference b/w my VirtualDUB version and the one in all the pictures, and I assume that, that is the reason that i can't compress my XviD into XviD Mpeg-4 Codec, cause it doesn't even have that conversion, or the Windows Media Player 9 one either, and I have WMP11